RATS program to demonstrate Gibbs sampling applied to a DCC GARCH model

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of Gibbs sampling (using Independence Chain Metropolis) with DCC model

Language: RATS
Requires: RATS 8.00
Keywords: ARCH-GARCH; Bayesian methods; Monte Carlo (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/garchmvdccgibbs.rpf (text/plain)

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